Part I: User's Guide
1 Introduction to Time Series 1
TimeSeriesData .............................................. 2
DataTransformations........................................... 2
EstimationandValidationPeriods.................................. 2
BuildingModelsandProducingForecasts ........................... 3
2 Time Series Modeler 4
SpecifyingOptionsfortheExpertModeler ........................... 8
ModelSelectionandEventSpecification......................... 9
HandlingOutlierswiththeExpertModeler....................... 11
CustomExponentialSmoothingModels ............................ 12
CustomARIMAModels......................................... 14
ModelSpecificationforCustomARIMAModels................... 15
TransferFunctionsinCustomARIMAModels .................... 17
Outliers in CustomARIMAModels............................. 19
Output ..................................................... 20
StatisticsandForecastTables................................ 21
Plots................................................... 23
LimitingOutputtotheBest-orPoorest-FittingModels.............. 25
Saving Model PredictionsandModelSpecifications................... 27
Options..................................................... 29
TSMODEL Command AdditionalFeatures........................... 31
3 Apply Time Series Models 32
Output ..................................................... 36
StatisticsandForecastTables................................ 37
Plots................................................... 40
LimitingOutputtotheBest-orPoorest-FittingModels.............. 42
SavingModelPredictionsandModelSpecifications................... 44
Options..................................................... 46
TSAPPLYCommandAdditionalFeatures............................ 47
4 Seasonal Decomposition 48
SeasonalDecompositionSave................................... 50
SEASONCommandAdditionalFeatures............................ 51
5 Spectral Plots 52
SPECTRACommandAdditionalFeatures............................ 55
Part II: Examples
6 Bulk Forecasting with the Expert Modeler 57
ExaminingYourData........................................... 57
RunningtheAnalysis .......................................... 59
ModelSummaryCharts ........................................ 66
ModelPredictions ............................................ 68
Summary................................................... 69
7 Bulk Reforecasting by Applying Saved Models 70
RunningtheAnalysis .......................................... 70
ModelFitStatistics............................................ 75
ModelPredictions ............................................ 76
Summary................................................... 76
8 Using the Expert Modeler to Determine Significant
Predictors 77
Plotting Your Data............................................. 77
Running the Analysis .......................................... 80
SeriesPlot.................................................. 85
Model DescriptionTable........................................ 86
Model StatisticsTable ......................................... 86
ARIMA Model ParametersTable.................................. 87
Summary................................................... 87
9 Experimenting with Predictors by Applying Saved
Models 89
ExtendingthePredictorSeries................................... 90
ModifyingPredictorValuesintheForecastPeriod.................... 94
RunningtheAnalysis .......................................... 96
10 Seasonal Decomposition 102
RemovingSeasonalityfromSalesData............................ 102
DeterminingandSettingthePeriodicity........................ 102
RunningtheAnalysis...................................... 108
UnderstandingtheOutput .................................. 109
Summary............................................... 111
RelatedProcedures.......................................... 112
11 Spectral Plots 113
Using Spectral Plots to Verify Expectations about Periodicity . . . . . . . . . . . 113
Running the Analysis...................................... 113
Understanding the Periodogram and Spectral Density . . . . . . . . . . . . . 115
Summary............................................... 118
RelatedProcedures.......................................... 118
Appendices
A Goodness-of-Fit Measures 119
B Outlier Types 121
CGuidetoACF/PACFPlots 122
D Sample Files 128
Bibliography 142
Index 144